How do I use multi list

I want to create a custom field for incident but rather than have user scroll through a huge list I thought I could use the multi-list option to allow user to narrow down options. However that only seems to let me select one list?

The multi-list means that it is a dropdown list that allows a user to make multiple selections, it is not a cascading list where you get one list dependent on the first list. That is something we're planning on adding for the future.